PerpetualDiscounts now yield 5.66%, equivalent to 7.36% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.20%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 315bp, a slight (and perhaps spurious) narrowing from the 320bp reported November 7.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2604 % | 3,074.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2604 % | 5,641.2 |
| Floater | 3.78 % | 4.03 % | 39,818 | 17.32 | 4 | 0.2604 % | 3,251.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3313 % | 3,211.2 |
| SplitShare | 4.49 % | 4.77 % | 54,036 | 4.16 | 6 | -0.3313 % | 3,834.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3313 % | 2,992.1 |
| Perpetual-Premium | 5.85 % | -8.13 % | 52,812 | 0.08 | 3 | 0.2108 % | 2,901.6 |
| Perpetual-Discount | 5.58 % | 5.66 % | 74,366 | 14.35 | 31 | 0.1897 % | 2,936.4 |
| FixedReset Disc | 4.53 % | 5.38 % | 162,120 | 14.84 | 58 | -0.0256 % | 2,462.1 |
| Deemed-Retractible | 5.32 % | 6.66 % | 68,305 | 5.18 | 27 | 0.1891 % | 2,917.3 |
| FloatingReset | 3.83 % | 4.30 % | 38,262 | 5.41 | 6 | 0.3103 % | 2,747.7 |
| FixedReset Prem | 5.05 % | 4.40 % | 219,176 | 2.55 | 22 | 0.0214 % | 2,533.8 |
| FixedReset Bank Non | 2.96 % | 3.99 % | 111,769 | 0.28 | 6 | -0.0068 % | 2,580.9 |
| FixedReset Ins Non | 4.56 % | 6.44 % | 127,135 | 5.27 | 22 | -0.1385 % | 2,459.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.X | FixedReset Disc | -1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-14 Maturity Price : 17.67 Evaluated at bid price : 17.67 Bid-YTW : 5.61 % |
| IFC.PR.G | FixedReset Ins Non | -1.74 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.17 Bid-YTW : 6.53 % |
| BAM.PF.D | Perpetual-Discount | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-14 Maturity Price : 20.88 Evaluated at bid price : 20.88 Bid-YTW : 5.96 % |
| IFC.PR.A | FixedReset Ins Non | -1.28 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.25 Bid-YTW : 8.58 % |
| TRP.PR.G | FixedReset Disc | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-14 Maturity Price : 22.22 Evaluated at bid price : 22.51 Bid-YTW : 5.78 % |
| TRP.PR.A | FixedReset Disc | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-14 Maturity Price : 18.41 Evaluated at bid price : 18.41 Bid-YTW : 5.87 % |
| PWF.PR.T | FixedReset Disc | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-14 Maturity Price : 21.87 Evaluated at bid price : 22.35 Bid-YTW : 5.39 % |
| IFC.PR.F | Deemed-Retractible | -1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 6.46 % |
| EIT.PR.A | SplitShare | -1.04 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2024-03-14 Maturity Price : 25.00 Evaluated at bid price : 24.85 Bid-YTW : 5.13 % |
| BIP.PR.D | FixedReset Disc | -1.01 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 24.60 Bid-YTW : 5.77 % |
| CU.PR.E | Perpetual-Discount | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-14 Maturity Price : 21.85 Evaluated at bid price : 21.85 Bid-YTW : 5.63 % |
| MFC.PR.B | Deemed-Retractible | 1.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.72 Bid-YTW : 8.45 % |
| SLF.PR.B | Deemed-Retractible | 1.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.59 Bid-YTW : 7.78 % |
| PWF.PR.L | Perpetual-Discount | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-14 Maturity Price : 22.33 Evaluated at bid price : 22.60 Bid-YTW : 5.68 % |
| BAM.PR.R | FixedReset Disc | 1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-14 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 5.78 % |
| PWF.PR.Q | FloatingReset | 2.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-14 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 3.96 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BAM.PF.I | FixedReset Prem | 156,579 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 24.75 Bid-YTW : 5.36 % |
| BMO.PR.E | FixedReset Prem | 51,960 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-14 Maturity Price : 23.13 Evaluated at bid price : 24.90 Bid-YTW : 5.04 % |
| RY.PR.M | FixedReset Disc | 50,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-14 Maturity Price : 22.95 Evaluated at bid price : 23.28 Bid-YTW : 5.25 % |
| TRP.PR.G | FixedReset Disc | 41,993 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-14 Maturity Price : 22.22 Evaluated at bid price : 22.51 Bid-YTW : 5.78 % |
| PWF.PR.R | Perpetual-Discount | 28,805 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-14 Maturity Price : 24.16 Evaluated at bid price : 24.49 Bid-YTW : 5.65 % |
| BNS.PR.I | FixedReset Disc | 24,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-14 Maturity Price : 23.10 Evaluated at bid price : 24.85 Bid-YTW : 4.85 % |
| There were 11 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| VNR.PR.A | FixedReset Disc | Quote: 23.95 – 24.70 Spot Rate : 0.7500 Average : 0.5381 YTW SCENARIO |
| W.PR.J | Perpetual-Discount | Quote: 24.57 – 25.20 Spot Rate : 0.6300 Average : 0.4871 YTW SCENARIO |
| MFC.PR.F | FixedReset Ins Non | Quote: 17.35 – 17.62 Spot Rate : 0.2700 Average : 0.2062 YTW SCENARIO |
| W.PR.K | FixedReset Prem | Quote: 25.35 – 25.68 Spot Rate : 0.3300 Average : 0.2691 YTW SCENARIO |
| PWF.PR.T | FixedReset Disc | Quote: 22.35 – 22.62 Spot Rate : 0.2700 Average : 0.2109 YTW SCENARIO |
| IFC.PR.G | FixedReset Ins Non | Quote: 23.17 – 23.66 Spot Rate : 0.4900 Average : 0.4338 YTW SCENARIO |